Stationary bootstrapping realized volatility

Eunju Hwang and Dong Wan Shin

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2045-2051

Abstract: First order asymptotic validity is established for stationary bootstrapping of the realized volatility. This enables us to construct a bootstrapping confidence interval for integrated volatility. A Monte-Carlo experiment shows that stationary bootstrapping confidence interval is also valid in a finite sample.

Keywords: Confidence interval; Realized volatility; Stationary bootstrap (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.05.005

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